Skewness Persistence in Common Stock Returns

J. Clay Singleton, John Wingender

Research output: Contribution to journalArticlepeer-review

105 Scopus citations


Recent empirical studies have found ex post common stock returns to be consistently positively skewed. The frequency of positive skewness in this study is found to be relatively stable over varying time periods from 1961 to 1980. However, the skewness of individual stocks and portfolios of stocks does not persist across different time periods. Positively-skewed equity portfolios in one period are not likely to be positively skewed in the next time period. Past positively-skewed returns do not predict future positively-skewed returns.

Original languageEnglish (US)
Pages (from-to)335-341
Number of pages7
JournalJournal of Financial and Quantitative Analysis
Issue number3
StatePublished - Sep 1986
Externally publishedYes

All Science Journal Classification (ASJC) codes

  • Accounting
  • Finance
  • Economics and Econometrics


Dive into the research topics of 'Skewness Persistence in Common Stock Returns'. Together they form a unique fingerprint.

Cite this